- Neofytos Rodosthenous, Mihail Zervos, “Watermark options”, Finance Stoch, 21, № 1, 2017, 157
- Søren Asmussen, Florin Avram, Martijn R. Pistorius, “Russian and American put options under exponential phase-type Lévy models”, Stochastic Processes and their Applications, 109, № 1, 2004, 79
- Alexey Kuznetsov, Andreas E. Kyprianou, Victor Rivero, 2061, Lévy Matters II, 2012, 97
- Florin Avram, Bin Li, Shu Li, “General drawdown of general tax model in a time-homogeneous Markov framework”, J. Appl. Probab., 58, № 4, 2021, 1131
- Jérôme Pansera, ““Pricing Perpetual Fund Protection with Withdrawal Option”, Hans U. Gerber and Elias S.W. Shiu, January 2003”, North American Actuarial Journal, 7, № 2, 2003, 82
- Pavel V. Gapeev, “Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes”, J. Appl. Probab., 44, № 03, 2007, 713
- Pavel V. Gapeev, Hessah Al Motairi, “Discounted optimal stopping problems in first-passage time models with random thresholds”, J. Appl. Probab., 59, № 3, 2022, 714
- Jukka Lempa, “Optimal Stopping with Information Constraint”, Appl Math Optim, 66, № 2, 2012, 147
- Wenyuan Wang, Ping Chen, Shuanming Li, “Generalized expected discounted penalty function at general drawdown for Lévy risk processes”, Insurance: Mathematics and Economics, 91, 2020, 12
- Jiayi Xie, Zhenyu Cui, Zhimin Zhang, “Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps”, Applied Mathematics and Computation, 429, 2022, 127251